Variable bandwidth local maximum likelihood type estimation for diffusion processes

DOI10.1186/s13662-018-1506-1zbMath1445.62215OpenAlexW2797015217MaRDI QIDQ1711315

Mingtian Tang, Yunyan Wang

Publication date: 17 January 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-018-1506-1

zbMATH Keywords

stochastic differential equationconsistencyasymptotic normalityrobust estimationvariable bandwidth

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Parameter estimation and bias correction for diffusion processes
• On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
• Estimation of semiparametric locally stationary diffusion models
• Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
• Statistical inference for reciprocal gamma diffusion process
• Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
• M-estimation for autoregression with infinite variance
• Variable bandwidth and local linear regression smoothers
• Local M-estimator for nonparametric time series.
• Reversible jump MCMC for nonparametric drift estimation for diffusion processes
• An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Improved variable window kernel estimates of probability densities
• Variable bandwidth and one-step local \(M\)-estimator
• Penalized nonparametric mean square estimation of the coefficients of diffusion processes
• On semiparametric \(M\)-estimation in single-index regression
• Empirical likelihood-based inference for nonparametric recurrent diffusions
• Nonparametric robust function estimation for integrated diffusion processes
• Statistical Inference for Student Diffusion Process
• REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS
• On estimating the diffusion coefficient from discrete observations
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Variable bandwidth local maximum likelihood type estimation for diffusion processes